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Dynamic Games and Applications
Erschienen in: Dynamic Games and Applications 2/2014

01.06.2014

On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players

verfasst von: Vassili N. Kolokoltsov, Marianna Troeva, Wei Yang

Erschienen in: Dynamic Games and Applications | Ausgabe 2/2014

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Abstract

In this paper, we investigate the mean field games of N agents who are weakly coupled via the empirical measures. The underlying dynamics of the representative agent is assumed to be a controlled nonlinear diffusion process with variable coefficients. We show that individual optimal strategies based on any solution of the main consistency equation for the backward-forward mean filed game model represent a 1/N-Nash equilibrium for approximating systems of N agents.
Vorheriger Artikel On the Efficiency of Equilibria in Mean-Field Oscillator Games
Nächster Artikel On the Planning Problem for the Mean Field Games System

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Metadaten
Titel
On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players
verfasst von
Vassili N. Kolokoltsov
Marianna Troeva
Wei Yang
Publikationsdatum
01.06.2014
Verlag
Springer US
Erschienen in
Dynamic Games and Applications / Ausgabe 2/2014
Print ISSN: 2153-0785
Elektronische ISSN: 2153-0793
DOI
https://doi.org/10.1007/s13235-013-0095-6

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